Quantification of Operational Risk Under Basel II

The Good, Bad and Ugly

By: Imad A. Moosa

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Hardcover | 31 October 2006 | Edition Number 1

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290 Pages

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22.86 x 15.24 x 1.75

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Post-suburbia is a term that encapsulates a variety of contemporary urban forms, in particular the 'edge city' - a term used to describe the rapid growth of new urban centres at the edges of established major cities. Widely discussed in the US, very little has been written about European edge cities and this book provides a comparative analysis of examples in Greece, Spain, Paris, Finland and the UK, offering a theoretical analysis of the edge city and of post-suburban Europe.

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Non-Fiction Accounting & Finance Accounting Financial Accounting Finance Banking Business & Management Management & Management Techniques Management of Specific Areas Budgeting & Financial Management Economics Corporate Finance

List of Figures	p. ix
List of Tables	p. xii
Preface	p. xiii
List of Acronyms	p. xvii
Preliminary Concepts and Issues	p. 1
Definition and Measurement of Risk	p. 1
Classification of Risk	p. 7
Analysis of Risk	p. 15
The Rising Importance of Operational Risk	p. 20
Banks and Banking Regulation	p. 26
Capital, Capital Adequacy and Related Concepts	p. 30
From Basel I to Basel II: A Great Leap Forward?	p. 39
The Basel Committee	p. 39
The Basel I Accord	p. 46
The Basel II Accord	p. 52
The Pillars of Basel II	p. 55
A Critique of Basel II	p. 65
Capital Charges under the BIA and STA	p. 79
Operational Risk: Definition, Features and Classification	p. 83
Definition of Operational Risk	p. 83
The Distinguishing Features of Operational Risk	p. 89
Classification of Operational Risk	p. 95
Surveys of Operational Loss Data	p. 110
External Operational Loss Databases	p. 117
Internal Operational Loss Databases	p. 122
The Foreign Exchange Committee's Sixty Best Practices	p. 128
The BCBS's Sound Practices	p. 131
Description of Some Highly Publicised Loss Events	p. 132
The Advanced Measurement Approach to Operational Risk	p. 137
Operational Risk Measurement, Assessment and Modelling	p. 137
Classification of Operational Risk Models	p. 143
The Advanced Measurement Approach(es)	p. 146
A Critique of the AMA	p. 156
Concluding Remarks	p. 169
Theoretical and Empirical Studies of Operational Risk	p. 170
Introduction	p. 170
Methodological Studies	p. 171
Empirical Studies	p. 184
Studies of the Effects of Operational Risk	p. 190
A Final Thought	p. 194
Monte Carlo Simulation: Description and Examples	p. 196
Introduction	p. 196
The Basic Idea	p. 197
Specification of Frequency and Severity Distributions	p. 198
Fitting Severity Distributions	p. 202
Modelling Risk Dependence to Calculate the Firm-Wide Capital Charge	p. 205
Examples Using Hypothetical Data	p. 209
Conclusion	p. 225
Discrete Frequency Distributions	p. 226
Continuous Severity Distributions	p. 227
Operational Risk: Where Do We Stand?	p. 229
Recapitulation	p. 229
The Subprime Crisis as an Operational Loss Event	p. 234
Societe Generale et al.	p. 243
Operational Risk Management: The Rights and Wrongs	p. 244
The Good, Bad and Ugly	p. 247
A Concluding Note	p. 249
References	p. 251
Index	p. 265
Table of Contents provided by Ingram. All Rights Reserved.

Quantification of Operational Risk Under Basel II

The Good, Bad and Ugly

At a Glance

Hardcover

Shipping

How to return your order

Defective items

You Can Find This Book In

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